R/vimp_ci.R

Defines functions vimp_ci

Documented in vimp_ci

#' Confidence intervals for variable importance
#'
#' Compute confidence intervals for the true variable importance parameter.
#'
#' @param est estimate of variable importance, e.g., from a call to \code{vimp_point_est}.
#' @param se estimate of the standard error of \code{est}, e.g., from a call to \code{vimp_se}.
#' @param scale scale to compute interval estimate on (defaults to "identity": compute Wald-type CI).
#' @param level confidence interval type (defaults to 0.95).
#'
#' @return The Wald-based confidence interval for the true importance of the given group of left-out covariates.
#'
#' @details See the paper by Williamson, Gilbert, Simon, and Carone for more
#' details on the mathematics behind this function and the definition of the parameter of interest.
#' @importFrom stats qlogis plogis
#' @export
vimp_ci <- function(est, se, scale = "identity", level = 0.95) {
    # set up the level
    a <- (1 - level)/2
    a <- c(a, 1 - a)

    # get the quantiles
    fac <- stats::qnorm(a)

    # create the ci
    ci <- array(NA, dim = c(length(est), 2L), dimnames = list(names(est)))
    # get scale
    scales <- c("log", "logit", "identity")
    full_scale <- scales[pmatch(scale, scales)]
    if (full_scale == "log") {
        tmp <- suppressWarnings(log(est))
        is_zero <- FALSE
        if ((is.na(tmp) & est <= 0 & !is.na(est))| is.infinite(tmp)) {
            tmp <- 0
            is_zero <- TRUE
        }
        grad <- 1 / est
        ci[] <- exp(tmp + sqrt(se ^ 2 * grad ^ 2) %o% fac)
        if (is_zero) {
            ci[, 1] <- 0
        }
    } else if (full_scale == "logit") {
        tmp <- suppressWarnings(qlogis(est))
        is_zero <- FALSE
        if ((is.na(tmp) & est <= 0 & !is.na(est)) | is.infinite(tmp)) {
            tmp <- 0
            is_zero <- TRUE
        }
        grad <- 1 / (est - est ^ 2)
        ci[] <- plogis(tmp + sqrt(se ^ 2 * grad ^ 2) %o% fac)
        if (is_zero) {
            ci[, 1] <- 0
        }
    } else {
        ci[] <- est + (se) %o% fac
        if (any(ci[, 1] < 0) & !all(is.na(ci))) {
            ci[ci[, 1] < 0, 1] <- 0
        }
    }

    return(ci)
}

Try the vimp package in your browser

Any scripts or data that you put into this service are public.

vimp documentation built on Aug. 16, 2021, 5:08 p.m.